Motivated by existing evidence of a preference among investors for assets with lottery-like
payoffs and that many investors are poorly diversified, we investigate the significance of …

We study the asset pricing implications of Tversky and Kahneman's (1992) cumulative
prospect theory, with a particular focus on its probability weighting component. Our main …

Background and aims To review the conceptual and empirical relationship between
gambling, investing, and speculation. Methods An analysis of the attributes differentiating …

This paper studies crash risk of currencies for funding‐constrained speculators in an attempt
to shed new light on the major currency puzzles. Our starting point is the currency carry …

That the returns on financial assets and insurance claims are not well described by the
multivariate normal distribution is generally acknowledged in the literature. This paper …

We test the prediction of recent theories that stocks with high idiosyncratic skewness should
have low expected returns. Because lagged skewness alone does not adequately forecast …

We use option prices to estimate ex ante higher moments of the underlying individual
securities' risk‐neutral returns distribution. We find that individual securities' risk‐neutral …

Behavioral finance is the study of how psychology affects financial decision making and
financial markets. It is increasingly becoming the common way of understanding investor …

If an investor wants to form a portfolio of risky assets and can exert effort to collect
information on the future value of these assets before he invests, which assets should he …

We test whether mandatory IFRS adoption affects firm-level “crash risk,” defined as the
frequency of extreme negative stock returns. We separately analyze nonfinancial firms and …